Author : Rajnish Mehra
Publisher : Elsevier
Page : 635 pages
File Size : 47,22 MB
Release : 2011-08-11
Category : Business & Economics
ISBN : 0080555853
Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.
Author : Felix Geiger
Publisher : Springer Science & Business Media
Page : 320 pages
File Size : 41,55 MB
Release : 2011-08-17
Category : Business & Economics
ISBN : 3642215750
The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.
Author : Mr.Ralph Chami
Publisher : International Monetary Fund
Page : 26 pages
File Size : 11,44 MB
Release : 2020-03-13
Category : Business & Economics
ISBN : 1513531867
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with the empirical properties of cashflow valuations identified in the literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk. Capital losses are amplified when interest rates increase and risk averse investors have taken positions on instruments with longer maturity, expecting instead interest rates to revert back to their historical average.
Author : Mark Reckase
Publisher : CRC Press
Page : 275 pages
File Size : 27,51 MB
Release : 2023-01-31
Category : Mathematics
ISBN : 149872213X
This book provides a unifying structure for the activities that fall under the process typically called "standard setting" on tests of proficiency. Standard setting refers to the methodology used to identify performance standards on tests of proficiency. The results from standard setting studies are critical for supporting the use of many types of tests. The process is frequently applied to educational, psychological, licensure/certification, and other types of tests and examination systems. The literature on procedures for standard setting is extensive, but the methodology for standard setting has evolved in a haphazard way over many decades without a unifying theory to support the evaluation of the methods and the validation of inferences made from the standards. This text provides a framework for going beyond specific standard setting methods to gain an understanding of the goals for the methods and how to evaluate whether the goals have been achieved. The unifying structure provided in this text considers policy that calls for the existence of performance standards, the relationship of proficiency test design to the policy, and tasks assigned to subject matter experts to help them convert the policy to estimates of locations on the reporting score scale for the test. Guidance is provided for how to connect the psychometric aspects of the standard setting process to the intentions of policy makers as expressed in policy statements. Further, the structure is used support validity arguments for inferences made when using standards. Examples are provided to show how the unifying structure can be used to evaluate and improve standard setting methodology.
Author : John H. Cochrane
Publisher : Princeton University Press
Page : 552 pages
File Size : 19,69 MB
Release : 2009-04-11
Category : Business & Economics
ISBN : 1400829135
Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea—price equals expected discounted payoff—that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model—consumption based, CAPM, multifactor, term structure, and option pricing—is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Author : Dilip B. Madan
Publisher : Cambridge University Press
Page : 284 pages
File Size : 48,8 MB
Release : 2022-02-03
Category : Mathematics
ISBN : 100900249X
What happens to risk as the economic horizon goes to zero and risk is seen as an exposure to a change in state that may occur instantaneously at any time? All activities that have been undertaken statically at a fixed finite horizon can now be reconsidered dynamically at a zero time horizon, with arrival rates at the core of the modeling. This book, aimed at practitioners and researchers in financial risk, delivers the theoretical framework and various applications of the newly established dynamic conic finance theory. The result is a nonlinear non-Gaussian valuation framework for risk management in finance. Risk-free assets disappear and low risk portfolios must pay for their risk reduction with negative expected returns. Hedges may be constructed to enhance value by exploiting risk interactions. Dynamic trading mechanisms are synthesized by machine learning algorithms. Optimal exposures are designed for option positioning simultaneously across all strikes and maturities.
Author : Max A. Little
Publisher : Oxford University Press
Page : 378 pages
File Size : 24,36 MB
Release : 2019-08-13
Category : Computers
ISBN : 0191024317
This book describes in detail the fundamental mathematics and algorithms of machine learning (an example of artificial intelligence) and signal processing, two of the most important and exciting technologies in the modern information economy. Taking a gradual approach, it builds up concepts in a solid, step-by-step fashion so that the ideas and algorithms can be implemented in practical software applications. Digital signal processing (DSP) is one of the 'foundational' engineering topics of the modern world, without which technologies such the mobile phone, television, CD and MP3 players, WiFi and radar, would not be possible. A relative newcomer by comparison, statistical machine learning is the theoretical backbone of exciting technologies such as automatic techniques for car registration plate recognition, speech recognition, stock market prediction, defect detection on assembly lines, robot guidance, and autonomous car navigation. Statistical machine learning exploits the analogy between intelligent information processing in biological brains and sophisticated statistical modelling and inference. DSP and statistical machine learning are of such wide importance to the knowledge economy that both have undergone rapid changes and seen radical improvements in scope and applicability. Both make use of key topics in applied mathematics such as probability and statistics, algebra, calculus, graphs and networks. Intimate formal links between the two subjects exist and because of this many overlaps exist between the two subjects that can be exploited to produce new DSP tools of surprising utility, highly suited to the contemporary world of pervasive digital sensors and high-powered, yet cheap, computing hardware. This book gives a solid mathematical foundation to, and details the key concepts and algorithms in this important topic.
Author : Yuhong Fan
Publisher : Springer Science & Business Media
Page : 204 pages
File Size : 24,49 MB
Release : 2012-03-28
Category : Science
ISBN : 146143761X
This volume is devoted to the dynamics and diagnostics of solar magnetic fields and plasmas in the Sun’s atmosphere. Five broad areas of current research in Solar Physics are presented: (1) New techniques for incorporating radiation transfer effects into three-dimensional magnetohydrodynamic models of the solar interior and atmosphere, (2) The connection between observed radiation processes occurring during flares and the underlying flare energy release and transport mechanisms, (3) The global balance of forces and momenta that occur during flares, (4) The data-analysis and theoretical tools needed to understand and assimilate vector magnetogram observations and (5) Connecting flare and CME phenomena to the topological properties of the magnetic field in the Solar Atmosphere. The role of the Sun’s magnetic field is a major emphasis of this book, which was inspired by a workshop honoring Richard C. (Dick) Canfield. Dick has been making profound contributions to these areas of research over a long and productive scientific career. Many of the articles in this topical issue were first presented as talks during this workshop and represent substantial original work. The workshop was held 9 – 11 August 2010, at the Center Green campus of the National Center for Atmospheric Research (NCAR) in Boulder, Colorado. This volume is aimed at researchers and graduate students active in solar physics, solar-terrestrial physics and magneto-hydrodynamics. Previously published in Solar Physics journal, Vol. 277/1, 2012.
Author : Guan-Ming Su
Publisher : John Wiley & Sons
Page : 341 pages
File Size : 36,48 MB
Release : 2012-12-12
Category : Computers
ISBN : 1118358058
Provides coverage of the major theories and technologies involved in the lifecycle of 3D video content delivery Presenting the technologies used in end-to-end 3D video communication systems, this reference covers 3D graphics and video coding, content creation and display, and communications and networking. It covers the full range of key areas from the fundamentals of 3D visual representation to the latest 3D video coding techniques, relevant communication infrastructure and networks to the 3D quality of experience. The book is structured to logically lead readers through the topic, starting with generic and fundamental information, continuing with a detailed section of different visualisation techniques before concluding with an extensive view of 3D mobile communication systems and trends. The authors give most focus to four important areas: 3D video coding and communications; 3D graphics/gaming and mobile communications; end-to-end 3D ecosystem (including 3D display, 3D player, networking facility and 3D quality issues), and future communications and networks advances for emerging 3D experience. Presents the theory and key concepts behind the latest 3D visual coding framework, standards, and corresponding quality assessment Provides fundamental material which forms the basis for future research on enhancing the performance of 3D visual communications over current and future wireless networks Covers important topics including: 3D video coding and communications; 3D graphics/gaming and mobile communications; end-to-end 3D ecosystem; and future communications and networks advances for emerging 3D experience Essential reading for engineers involved in the research, design and development of 3D visual coding and 3D visual transmission systems and technologies, as well as academic and industrial researchers.
Author : Murray Rosenblatt
Publisher : IMS
Page : 202 pages
File Size : 14,75 MB
Release : 1991
Category : Curve fitting
ISBN : 9780940600225
